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Citations for "The Probability Distribution of Foreign Exchange Price Changes: Tests of Candidate Processes"

by Tucker, Alan L & Pond, Lallon

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  1. ROMBOUTS, Jeroen V.K. & STENTOFT, Lars, 2009. "Bayesian option pricing using mixed normal heteroskedasticity models," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2009013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Mercik, Szymon & Weron, Rafal, 2002. "Origins of scaling in FX markets," MPRA Paper 2294, University Library of Munich, Germany.
  3. Mohammed Bouaddi & Jeroen V.K. Rombouts, 2007. "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Cahiers de recherche, CIRPEE 0749, CIRPEE.
  4. Charles Engel & Craig S. Hakkio, 1994. "The distribution of exchange rates in the EMS," Research Working Paper, Federal Reserve Bank of Kansas City 94-03, Federal Reserve Bank of Kansas City.
  5. C. L. Osler, 2002. "Stop-loss orders and price cascades in currency markets," Staff Reports, Federal Reserve Bank of New York 150, Federal Reserve Bank of New York.
  6. Jonathan Batten & Craig Ellis, 2001. "Scaling Foreign Exchange Volatility," Accounting, Finance, Financial Planning and Insurance Series, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance 2001_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  7. Markus Haas, 2004. "Mixed Normal Conditional Heteroskedasticity," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 211-250.
  8. St. Pierre, Eileen F., 1998. "Estimating EGARCH-M models: Science or art?," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 38(2), pages 167-180.
  9. Batten, Jonathan & Ellis, Craig & Fetherston, Thomas A., 2000. "Are long-term return anomalies illusions?: Evidence from the spot Yen," Japan and the World Economy, Elsevier, Elsevier, vol. 12(4), pages 337-349, December.
  10. van Norden, Simon, 1996. "Regime Switching as a Test for Exchange Rate Bubbles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 11(3), pages 219-51, May-June.
  11. Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005, Society for Computational Economics 226, Society for Computational Economics.
  12. Osler, Carol & Savaser, Tanseli, 2011. "Extreme returns: The case of currencies," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(11), pages 2868-2880, November.
  13. Kiani, Khurshid M., 2013. "Can signal extraction help predict risk premia in foreign exchange rates," Economic Modelling, Elsevier, Elsevier, vol. 33(C), pages 926-939.
  14. Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Time-varying mixture GARCH models and asymmetric volatility," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 26(C), pages 602-623.
  15. Bernard Dumas & L. Peter Jennergren & Bertil Naslund, 1993. "Realignment Risk and Currency Option Pricing in Target Zones," NBER Working Papers 4458, National Bureau of Economic Research, Inc.
  16. Zhiguang Wang & Prasad Bidarkota, 2012. "Risk premia in forward foreign exchange rates: a comparison of signal extraction and regression methods," Empirical Economics, Springer, Springer, vol. 42(1), pages 21-51, February.
  17. Kaehler, Jürgen, 1993. "On the modelling of speculative prices by stable Paretian distributions and regularly varying tails," ZEW Discussion Papers, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research 93-25, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  18. Lin, Bing-Huei & Yeh, Shih-Kuo, 2001. "Estimation for factor models of term structure of interest rates with jumps: the case of the Taiwanese government bond market," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 11(2), pages 167-197, June.
  19. R. Chiang & John Okunev & Mark Tippett, 1996. "Stochastic Interest Rates, Transaction Costs and Immunizing Foreign Currency Risk," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney 58, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  20. Chen, Shouquan & Huang, Jianwen, 2014. "Rates of convergence of extreme for asymmetric normal distribution," Statistics & Probability Letters, Elsevier, Elsevier, vol. 84(C), pages 158-168.
  21. Batten, Jonathan A. & Ellis, Craig A., 2005. "Paramater estimation bias and volatility scaling in Black-Scholes option prices," International Review of Financial Analysis, Elsevier, Elsevier, vol. 14(2), pages 165-176.